Regulatory Alerts2021-06-03
Added · Updated
HKMA Q&A on Counterparty Credit Risk Capital Standards
The Hong Kong Monetary Authority issued this guidance to clarify the application of the Banking (Capital) Rules regarding counterparty credit risk capital requirements for Authorized Institutions. The document resolves specific supervisory questions on scope, margin period of risk, collateral treatment, and the Standardized Approach for Counterparty Credit Risk. It provides detailed interpretations on netting sets, hedging sets, and the calculation of default risk exposures for various derivative and settlement transactions.
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